Leveraging conformal prediction for calibrated probabilistic time series forecasts to accelerate the renewable energy transition

Presentation given at Pydata Eindhoven at 30th of November 2023

1. 1 Leveraging conformal prediction for calibrated probabilistic time series forecasts to accelerate the renewable energy transition Inge van den Ende Data Scientist www.dexterenergy.ai Photo by Nicholas Doherty on Unsplash Eindhoven 30 November 2023
2. 2 A balancing act on the energy grid: Supply needs to equal demand at any moment supply t demand t =
3. 3 Uncertainty in energy generation forecast increases
4. 4 Forecasting the uncertainty explicitly enables decision making supply demand price
5. 5 Point forecasts don’t give any information about this uncertainty t 0 Time y Actuals Forecast Point forecast ?Uncertainty?
6. 6 A prediction interval gives us more information about the uncertainty t 0 Time Actuals Forecast Point forecast t 0 Time Actuals Forecast 90% interval y y
7. 7 Conformal prediction can create a prediction interval for any point forecast t 0 Time Actuals Forecast Point forecast t 0 Time Actuals Forecast 90% interval y y Conformal prediction
8. 8 A calibration set is hold out from the train set Train set Calibration set Test set
9. Three steps to forecast with prediction interval Training Calibration Prediction
10. Train the point forecast model on the train set as usual Training Calibration Prediction 1. Train point forecast model on the training set ŷ = f ( X )
11. 11 The calibration set is used to compute the prediction interval Training Calibration Prediction 2. Predict on calibration set and get conformity scores y Calibration set Point forecast Actual value Create a sorted list with absolute conformity scores Conformity scores Number of scores Select the quantile of the prediction interval quantile Conformity scores Number of scores
12. 12 The calibration set is used to compute the prediction interval Training Calibration Prediction Create a sorted list with absolute conformity scores |e| 1 |e| 2 … |e| N-1 |e| N |e| 1 |e| 2 … |e| N-1 |e| N Select the quantile of the prediction interval index = ((1 - ⍺) * n) - 1 e 2 2. Predict on calibration set and get conformity scores y Calibration set Point forecast Actual value e 3 e 1
13. 13 Add the prediction interval to every prediction Training Calibration Prediction 3. Predict with point forecast model y Prediction set Point forecast y Prediction set Point forecast = y Point forecast + selected conformity score = y + |e| 2 Add prediction interval based on conformity scores Point forecast - selected conformity score = y - |e| 2
14. 14 Residuals of a calibration set determine the prediction interval Training Calibration Prediction 1. Train point forecast model ŷ = f ( X ) 2. Predict on calibration set and get conformity scores 3. Predict with point forecast model & add prediction interval based on conformity scores y Calibration set Point forecast Actual value y Prediction set Point forecast Prediction interval
15. 15 Python packages for conformal prediction MAPIE: Model Agnostic Prediction Interval Estimator Crepes: Conformal classifiers, regressors and predictive systems
16. 16 Forecasting with prediction interval with the crepes package ▶ crepes_model = WrapRegressor(baseline_model) ▶ crepes_model.fit(X_prop_train, y_prop_train) ▶ crepes_model.calibrate(X_cal, y_cal) ▶ crepes_point_prediction = crepes_model.predict(X_test) ▶ crepes_prediction_cp = crepes_model.predict_int(X_test, confidence=0.90)
17. Advantages 17 This simple method has great advantages, but also some disadvantages Model agnostic: Any model can be used Disadvantages Statistical guarantee: valid coverage No distribution assumption needed Constant over the prediction set A single prediction interval provides less information then a distribution
18. The prediction interval is constant over the prediction set t 0 Time Actuals Forecast 90% interval Do we expect the same uncertainty for these points?
19. 19 A prediction interval provides less information then a probabilistic distribution t 0 Time Price (EUR/MWh) Actuals Forecast q95 Probability density Probability density q05 q95 q05 90% interval
20. Advantages 20 This simple method has great advantages, but also some disadvantages Model agnostic: Any model can be used Disadvantages Statistical guarantee: valid coverage No distribution assumption needed Constant over the prediction set A single prediction interval provides less information then a distribution Solution will be given in next slides
21. 21 Calibrating a probabilistic forecast creates a well-calibrated full distribution that is specific over samples Part 1: Create prediction interval Part 2: Calibrate probabilistic forecast
22. We can use the same three steps to calibrate a probabilistic forecast Training Calibration Prediction
23. Train a probabilistic forecast model on the train set Training Calibration Prediction 1. Train a probabilistic forecast model on the training set [ŷ q01 …ŷ q01 ]= f ( X ) t -1 Time y Actuals Forecast Point forecast q80 q60 q40 q20 y Probability density slice For example: conformalized quantile regression
24. Quantile regression: fit a model per quantile that you predict Intermezzo: probabilistic forecasting t -1 Time y Actuals Forecast Point forecast q80 q60 q40 q20 slice q80 q20 Probability density function
25. 25 Quantile regression: asymmetrically weight errors during model training Error Weight q50 (median) Underforecast Overforecast ɑ-1 ɑ q20 q80 q80 q20 Probability density function ▶ lightgbm.LGBMRegressor( objective=‘quantile’, alpha=0.2) Intermezzo: probabilistic forecasting
26. Why do we need conformalized quantile regression? Intermezzo: probabilistic forecasting Quantile regression Conformal prediction Asymptotically consistent Statistical guarantee of valid coverage Takes into account local variability of the input space Basic application does not adapt to input space Conformalized quantile regression Statistical guarantee of valid coverage Takes into account local variability of the input space 26
27. 27 The calibration set is used to compute a correction factor Training Calibration Prediction Per interval of the probabilistic prediction 2. Predict on calibration set and get conformity scores y Calibration set Mean forecast Actual value 70% forecast 30% forecast 27 Create a sorted list with the conformity scores = residuals e 1 e 2 … e N-1 e N Select the quantile of the prediction interval index = ((1 - ⍺) * n) - 1 Correction can be positive or negative: Positive = wider distribution Negative = more narrow e 1 e 2 … e N-1 e N
28. 28 Calibrate every prediction interval Training Calibration Prediction 3. Predict with probabilistic forecast model Calibrate distribution based on conformity scores Calibrated probabilistic forecast Probabilistic forecast Per interval of the probabilistic prediction
29. 29 Residuals of a calibration set are used to calibrate the forecasted distribution Training Calibration Prediction 1. Train probabilistic forecast model [ŷ q01 …ŷ q01 ]= f ( X ) 2. Predict on calibration set and get conformity scores for every quantile 3. Predict on test set and calibrate that distribution y Calibration set y Prediction set
30. Advantages 30 A remaining disadvantage: exchangeability Model agnostic: Any model can be used Advantages Statistical guarantee: valid coverage No distribution assumption needed Varies over the prediction set A distribution provides more information then a single prediction interval Assumption: exchangeability Disadvantage
31. 31 Exchangeability does not always hold ▶ mapie.time_series_regression.MapieTimeSeriesRegressor t 0 Time y
32. Key takeaways about conformal prediction 32 Conditional when calibrating probabilistic forecast Helps to accelerate the renewable energy transition Simple method with statistical guarantee
33. At the start of 2022 the interest in conformal prediction started to rise Google trend worldwide show increase from start of 2022
34. On the awesome-conformal-prediction github you can find more information Started in 2022 QR code to awesome-conformal-prediction github
35. 35 Thank you www.dexterenergy.ai Photo by Nicholas Doherty on Unsplash Meet-up in January